How to setup 2 iPhone SDKs on one Mac is really simple. Yesterday I was trying to install iPhone sdk 4 to my mac but want to continue working with iPhone sdk 3.2. So it was very simple, download the sdk from apple developer site (http://developer.apple.com/iphone) login and then download.
Once its downloaded, simple start the installer and follow what its initial steps but once you reach to "Installation Type" then follow the images below.

1. Select "Developer" listed below Location and select other.

2. Select a directly where you want to install your new iPhone sdk 4. Its a best practice to name the folder with the version number. (Just like in the image)

3. Select the new folder you create and then follow the steps to complete installation of the sdk.